oakscriptjs 0.8.1 → 0.9.0

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
Files changed (544) hide show
  1. package/LICENSE +1 -1
  2. package/README.md +31 -9
  3. package/dist/cjs/array/index.d.ts +701 -0
  4. package/dist/cjs/array/index.d.ts.map +1 -0
  5. package/dist/cjs/array/index.js +392 -0
  6. package/dist/cjs/array/index.js.map +7 -0
  7. package/dist/cjs/box/index.d.ts +444 -0
  8. package/dist/cjs/box/index.d.ts.map +1 -0
  9. package/dist/cjs/box/index.js +246 -0
  10. package/dist/cjs/box/index.js.map +7 -0
  11. package/dist/cjs/callsite/index.d.ts +61 -0
  12. package/dist/cjs/callsite/index.d.ts.map +1 -0
  13. package/dist/cjs/callsite/index.js +65 -0
  14. package/dist/cjs/callsite/index.js.map +7 -0
  15. package/dist/cjs/chartpoint/index.d.ts +90 -0
  16. package/dist/cjs/chartpoint/index.d.ts.map +1 -0
  17. package/dist/cjs/chartpoint/index.js +56 -0
  18. package/dist/cjs/chartpoint/index.js.map +7 -0
  19. package/dist/cjs/color/index.d.ts +285 -0
  20. package/dist/cjs/color/index.d.ts.map +1 -0
  21. package/dist/cjs/color/index.js +143 -0
  22. package/dist/cjs/color/index.js.map +7 -0
  23. package/dist/cjs/compare/index.d.ts +26 -0
  24. package/dist/cjs/compare/index.d.ts.map +1 -0
  25. package/dist/cjs/compare/index.js +50 -0
  26. package/dist/cjs/compare/index.js.map +7 -0
  27. package/dist/cjs/drawing/registry.d.ts +42 -0
  28. package/dist/cjs/drawing/registry.d.ts.map +1 -0
  29. package/dist/cjs/drawing/registry.js +87 -0
  30. package/dist/cjs/drawing/registry.js.map +7 -0
  31. package/dist/cjs/index.d.ts +85 -0
  32. package/dist/cjs/index.d.ts.map +1 -0
  33. package/dist/cjs/index.js +184 -0
  34. package/dist/cjs/index.js.map +7 -0
  35. package/dist/cjs/indicator.d.ts +117 -0
  36. package/dist/cjs/indicator.d.ts.map +1 -0
  37. package/dist/cjs/indicator.js +74 -0
  38. package/dist/cjs/indicator.js.map +7 -0
  39. package/dist/cjs/input.d.ts +196 -0
  40. package/dist/cjs/input.d.ts.map +1 -0
  41. package/dist/cjs/input.js +197 -0
  42. package/dist/cjs/input.js.map +7 -0
  43. package/dist/cjs/label/index.d.ts +303 -0
  44. package/dist/cjs/label/index.d.ts.map +1 -0
  45. package/dist/cjs/label/index.js +190 -0
  46. package/dist/cjs/label/index.js.map +7 -0
  47. package/dist/cjs/lib/index.d.ts +8 -0
  48. package/dist/cjs/lib/index.d.ts.map +1 -0
  49. package/dist/cjs/lib/index.js +19 -0
  50. package/dist/cjs/lib/index.js.map +7 -0
  51. package/dist/{lib → cjs/lib}/zigzag/index.d.ts +4 -1
  52. package/dist/cjs/lib/zigzag/index.d.ts.map +1 -0
  53. package/dist/cjs/lib/zigzag/index.js +27 -0
  54. package/dist/cjs/lib/zigzag/index.js.map +7 -0
  55. package/dist/cjs/lib/zigzag/zigzag.d.ts +100 -0
  56. package/dist/cjs/lib/zigzag/zigzag.d.ts.map +1 -0
  57. package/dist/cjs/lib/zigzag/zigzag.js +207 -0
  58. package/dist/cjs/lib/zigzag/zigzag.js.map +7 -0
  59. package/dist/cjs/line/index.d.ts +342 -0
  60. package/dist/cjs/line/index.d.ts.map +1 -0
  61. package/dist/cjs/line/index.js +193 -0
  62. package/dist/cjs/line/index.js.map +7 -0
  63. package/dist/cjs/linefill/index.d.ts +124 -0
  64. package/dist/cjs/linefill/index.d.ts.map +1 -0
  65. package/dist/cjs/linefill/index.js +56 -0
  66. package/dist/cjs/linefill/index.js.map +7 -0
  67. package/dist/cjs/map/index.d.ts +69 -0
  68. package/dist/cjs/map/index.d.ts.map +1 -0
  69. package/dist/cjs/map/index.js +80 -0
  70. package/dist/cjs/map/index.js.map +7 -0
  71. package/dist/cjs/math/index.d.ts +560 -0
  72. package/dist/cjs/math/index.d.ts.map +1 -0
  73. package/dist/cjs/math/index.js +441 -0
  74. package/dist/cjs/math/index.js.map +7 -0
  75. package/dist/cjs/matrix/index.d.ts +1231 -0
  76. package/dist/cjs/matrix/index.d.ts.map +1 -0
  77. package/dist/cjs/matrix/index.js +1200 -0
  78. package/dist/cjs/matrix/index.js.map +7 -0
  79. package/dist/cjs/package.json +1 -0
  80. package/dist/cjs/plot.d.ts +76 -0
  81. package/dist/cjs/plot.d.ts.map +1 -0
  82. package/dist/cjs/plot.js +51 -0
  83. package/dist/cjs/plot.js.map +7 -0
  84. package/dist/cjs/polyline/index.d.ts +115 -0
  85. package/dist/cjs/polyline/index.d.ts.map +1 -0
  86. package/dist/cjs/polyline/index.js +76 -0
  87. package/dist/cjs/polyline/index.js.map +7 -0
  88. package/dist/cjs/runtime/adapters/LightweightChartsAdapter.d.ts +86 -0
  89. package/dist/cjs/runtime/adapters/LightweightChartsAdapter.d.ts.map +1 -0
  90. package/dist/cjs/runtime/adapters/LightweightChartsAdapter.js +141 -0
  91. package/dist/cjs/runtime/adapters/LightweightChartsAdapter.js.map +7 -0
  92. package/dist/cjs/runtime/adapters/SimpleInputAdapter.d.ts +59 -0
  93. package/dist/cjs/runtime/adapters/SimpleInputAdapter.d.ts.map +1 -0
  94. package/dist/cjs/runtime/adapters/SimpleInputAdapter.js +117 -0
  95. package/dist/cjs/runtime/adapters/SimpleInputAdapter.js.map +7 -0
  96. package/dist/{runtime → cjs/runtime}/index.d.ts +12 -5
  97. package/dist/cjs/runtime/index.d.ts.map +1 -0
  98. package/dist/cjs/runtime/index.js +49 -0
  99. package/dist/cjs/runtime/index.js.map +7 -0
  100. package/dist/cjs/runtime/inputs.d.ts +91 -0
  101. package/dist/cjs/runtime/inputs.d.ts.map +1 -0
  102. package/dist/cjs/runtime/inputs.js +262 -0
  103. package/dist/cjs/runtime/inputs.js.map +7 -0
  104. package/dist/cjs/runtime/runtime.d.ts +70 -0
  105. package/dist/cjs/runtime/runtime.d.ts.map +1 -0
  106. package/dist/cjs/runtime/runtime.js +148 -0
  107. package/dist/cjs/runtime/runtime.js.map +7 -0
  108. package/dist/cjs/runtime/series.d.ts +362 -0
  109. package/dist/cjs/runtime/series.d.ts.map +1 -0
  110. package/dist/cjs/runtime/series.js +560 -0
  111. package/dist/cjs/runtime/series.js.map +7 -0
  112. package/dist/cjs/runtime/types.d.ts +282 -0
  113. package/dist/cjs/runtime/types.d.ts.map +1 -0
  114. package/dist/cjs/runtime/types.js +17 -0
  115. package/dist/cjs/runtime/types.js.map +7 -0
  116. package/dist/cjs/script/index.d.ts +987 -0
  117. package/dist/cjs/script/index.d.ts.map +1 -0
  118. package/dist/cjs/script/index.js +1169 -0
  119. package/dist/cjs/script/index.js.map +7 -0
  120. package/dist/cjs/security/resample.d.ts +63 -0
  121. package/dist/cjs/security/resample.d.ts.map +1 -0
  122. package/dist/cjs/security/resample.js +84 -0
  123. package/dist/cjs/security/resample.js.map +7 -0
  124. package/dist/cjs/session/bars.d.ts +80 -0
  125. package/dist/cjs/session/bars.d.ts.map +1 -0
  126. package/dist/cjs/session/bars.js +219 -0
  127. package/dist/cjs/session/bars.js.map +7 -0
  128. package/dist/cjs/session/calendar.d.ts +70 -0
  129. package/dist/cjs/session/calendar.d.ts.map +1 -0
  130. package/dist/cjs/session/calendar.js +164 -0
  131. package/dist/cjs/session/calendar.js.map +7 -0
  132. package/dist/cjs/str/dateformat.d.ts +15 -0
  133. package/dist/cjs/str/dateformat.d.ts.map +1 -0
  134. package/dist/cjs/str/dateformat.js +149 -0
  135. package/dist/cjs/str/dateformat.js.map +7 -0
  136. package/dist/cjs/str/index.d.ts +459 -0
  137. package/dist/cjs/str/index.d.ts.map +1 -0
  138. package/dist/cjs/str/index.js +143 -0
  139. package/dist/cjs/str/index.js.map +7 -0
  140. package/dist/cjs/str/messageformat.d.ts +14 -0
  141. package/dist/cjs/str/messageformat.d.ts.map +1 -0
  142. package/dist/cjs/str/messageformat.js +114 -0
  143. package/dist/cjs/str/messageformat.js.map +7 -0
  144. package/dist/cjs/str/numberformat.d.ts +19 -0
  145. package/dist/cjs/str/numberformat.d.ts.map +1 -0
  146. package/dist/cjs/str/numberformat.js +170 -0
  147. package/dist/cjs/str/numberformat.js.map +7 -0
  148. package/dist/{strategy → cjs/strategy}/index.d.ts +50 -0
  149. package/dist/cjs/strategy/index.d.ts.map +1 -0
  150. package/dist/cjs/strategy/index.js +92 -0
  151. package/dist/cjs/strategy/index.js.map +7 -0
  152. package/dist/cjs/ta/index.d.ts +1397 -0
  153. package/dist/cjs/ta/index.d.ts.map +1 -0
  154. package/dist/cjs/ta/index.js +1715 -0
  155. package/dist/cjs/ta/index.js.map +7 -0
  156. package/dist/cjs/ta/running-sum.d.ts +30 -0
  157. package/dist/cjs/ta/running-sum.d.ts.map +1 -0
  158. package/dist/cjs/ta/running-sum.js +99 -0
  159. package/dist/cjs/ta/running-sum.js.map +7 -0
  160. package/dist/cjs/ta-series.d.ts +558 -0
  161. package/dist/cjs/ta-series.d.ts.map +1 -0
  162. package/dist/cjs/ta-series.js +606 -0
  163. package/dist/cjs/ta-series.js.map +7 -0
  164. package/dist/cjs/text/index.d.ts +14 -0
  165. package/dist/cjs/text/index.d.ts.map +1 -0
  166. package/dist/cjs/text/index.js +29 -0
  167. package/dist/cjs/text/index.js.map +7 -0
  168. package/dist/cjs/time/datestring.d.ts +23 -0
  169. package/dist/cjs/time/datestring.d.ts.map +1 -0
  170. package/dist/cjs/time/datestring.js +106 -0
  171. package/dist/cjs/time/datestring.js.map +7 -0
  172. package/dist/cjs/time/index.d.ts +89 -0
  173. package/dist/cjs/time/index.d.ts.map +1 -0
  174. package/dist/cjs/time/index.js +85 -0
  175. package/dist/cjs/time/index.js.map +7 -0
  176. package/dist/cjs/time/session.d.ts +17 -0
  177. package/dist/cjs/time/session.d.ts.map +1 -0
  178. package/dist/cjs/time/session.js +65 -0
  179. package/dist/cjs/time/session.js.map +7 -0
  180. package/dist/cjs/time/timezone.d.ts +40 -0
  181. package/dist/cjs/time/timezone.d.ts.map +1 -0
  182. package/dist/cjs/time/timezone.js +125 -0
  183. package/dist/cjs/time/timezone.js.map +7 -0
  184. package/dist/cjs/timeframe/index.d.ts +73 -0
  185. package/dist/cjs/timeframe/index.d.ts.map +1 -0
  186. package/dist/cjs/timeframe/index.js +85 -0
  187. package/dist/cjs/timeframe/index.js.map +7 -0
  188. package/dist/cjs/types/index.d.ts +343 -0
  189. package/dist/cjs/types/index.d.ts.map +1 -0
  190. package/dist/cjs/types/index.js +32 -0
  191. package/dist/cjs/types/index.js.map +7 -0
  192. package/dist/cjs/types/metadata.d.ts +300 -0
  193. package/dist/cjs/types/metadata.d.ts.map +1 -0
  194. package/dist/cjs/types/metadata.js +17 -0
  195. package/dist/cjs/types/metadata.js.map +7 -0
  196. package/dist/cjs/utils/index.d.ts +167 -0
  197. package/dist/cjs/utils/index.d.ts.map +1 -0
  198. package/dist/cjs/utils/index.js +209 -0
  199. package/dist/cjs/utils/index.js.map +7 -0
  200. package/dist/esm/array/index.d.ts +701 -0
  201. package/dist/esm/array/index.d.ts.map +1 -0
  202. package/dist/esm/array/index.js +983 -0
  203. package/dist/esm/array/index.js.map +1 -0
  204. package/dist/esm/box/index.d.ts +444 -0
  205. package/dist/esm/box/index.d.ts.map +1 -0
  206. package/dist/esm/box/index.js +602 -0
  207. package/dist/esm/box/index.js.map +1 -0
  208. package/dist/esm/callsite/index.d.ts +61 -0
  209. package/dist/esm/callsite/index.d.ts.map +1 -0
  210. package/dist/esm/callsite/index.js +97 -0
  211. package/dist/esm/callsite/index.js.map +1 -0
  212. package/dist/esm/chartpoint/index.d.ts +90 -0
  213. package/dist/esm/chartpoint/index.d.ts.map +1 -0
  214. package/dist/esm/chartpoint/index.js +113 -0
  215. package/dist/esm/chartpoint/index.js.map +1 -0
  216. package/dist/esm/color/index.d.ts +285 -0
  217. package/dist/esm/color/index.d.ts.map +1 -0
  218. package/dist/esm/color/index.js +373 -0
  219. package/dist/esm/color/index.js.map +1 -0
  220. package/dist/esm/compare/index.d.ts +26 -0
  221. package/dist/esm/compare/index.d.ts.map +1 -0
  222. package/dist/esm/compare/index.js +39 -0
  223. package/dist/esm/compare/index.js.map +1 -0
  224. package/dist/esm/drawing/registry.d.ts +42 -0
  225. package/dist/esm/drawing/registry.d.ts.map +1 -0
  226. package/dist/esm/drawing/registry.js +89 -0
  227. package/dist/esm/drawing/registry.js.map +1 -0
  228. package/dist/esm/index.d.ts +85 -0
  229. package/dist/esm/index.d.ts.map +1 -0
  230. package/dist/esm/index.js +96 -0
  231. package/dist/esm/index.js.map +1 -0
  232. package/dist/esm/indicator.d.ts +117 -0
  233. package/dist/esm/indicator.d.ts.map +1 -0
  234. package/dist/esm/indicator.js +84 -0
  235. package/dist/esm/indicator.js.map +1 -0
  236. package/dist/esm/input.d.ts +196 -0
  237. package/dist/esm/input.d.ts.map +1 -0
  238. package/dist/esm/input.js +183 -0
  239. package/dist/esm/input.js.map +1 -0
  240. package/dist/esm/label/index.d.ts +303 -0
  241. package/dist/esm/label/index.d.ts.map +1 -0
  242. package/dist/esm/label/index.js +417 -0
  243. package/dist/esm/label/index.js.map +1 -0
  244. package/dist/esm/lib/index.d.ts +8 -0
  245. package/dist/esm/lib/index.d.ts.map +1 -0
  246. package/dist/esm/lib/index.js +8 -0
  247. package/dist/esm/lib/index.js.map +1 -0
  248. package/dist/esm/lib/zigzag/index.d.ts +5 -0
  249. package/dist/esm/lib/zigzag/index.d.ts.map +1 -0
  250. package/dist/esm/lib/zigzag/index.js +5 -0
  251. package/dist/esm/lib/zigzag/index.js.map +1 -0
  252. package/dist/esm/lib/zigzag/zigzag.d.ts +100 -0
  253. package/dist/esm/lib/zigzag/zigzag.d.ts.map +1 -0
  254. package/dist/esm/lib/zigzag/zigzag.js +229 -0
  255. package/dist/esm/lib/zigzag/zigzag.js.map +1 -0
  256. package/dist/esm/line/index.d.ts +342 -0
  257. package/dist/esm/line/index.d.ts.map +1 -0
  258. package/dist/esm/line/index.js +470 -0
  259. package/dist/esm/line/index.js.map +1 -0
  260. package/dist/esm/linefill/index.d.ts +124 -0
  261. package/dist/esm/linefill/index.d.ts.map +1 -0
  262. package/dist/esm/linefill/index.js +144 -0
  263. package/dist/esm/linefill/index.js.map +1 -0
  264. package/dist/esm/map/index.d.ts +69 -0
  265. package/dist/esm/map/index.d.ts.map +1 -0
  266. package/dist/esm/map/index.js +106 -0
  267. package/dist/esm/map/index.js.map +1 -0
  268. package/dist/esm/math/index.d.ts +560 -0
  269. package/dist/esm/math/index.d.ts.map +1 -0
  270. package/dist/esm/math/index.js +495 -0
  271. package/dist/esm/math/index.js.map +1 -0
  272. package/dist/esm/matrix/index.d.ts +1231 -0
  273. package/dist/esm/matrix/index.d.ts.map +1 -0
  274. package/dist/esm/matrix/index.js +2450 -0
  275. package/dist/esm/matrix/index.js.map +1 -0
  276. package/dist/esm/plot.d.ts +76 -0
  277. package/dist/esm/plot.d.ts.map +1 -0
  278. package/dist/esm/plot.js +63 -0
  279. package/dist/esm/plot.js.map +1 -0
  280. package/dist/esm/polyline/index.d.ts +115 -0
  281. package/dist/esm/polyline/index.d.ts.map +1 -0
  282. package/dist/esm/polyline/index.js +157 -0
  283. package/dist/esm/polyline/index.js.map +1 -0
  284. package/dist/esm/runtime/adapters/LightweightChartsAdapter.d.ts +86 -0
  285. package/dist/esm/runtime/adapters/LightweightChartsAdapter.d.ts.map +1 -0
  286. package/dist/esm/runtime/adapters/LightweightChartsAdapter.js +140 -0
  287. package/dist/esm/runtime/adapters/LightweightChartsAdapter.js.map +1 -0
  288. package/dist/esm/runtime/adapters/SimpleInputAdapter.d.ts +59 -0
  289. package/dist/esm/runtime/adapters/SimpleInputAdapter.d.ts.map +1 -0
  290. package/dist/esm/runtime/adapters/SimpleInputAdapter.js +115 -0
  291. package/dist/esm/runtime/adapters/SimpleInputAdapter.js.map +1 -0
  292. package/dist/esm/runtime/index.d.ts +13 -0
  293. package/dist/esm/runtime/index.d.ts.map +1 -0
  294. package/dist/esm/runtime/index.js +14 -0
  295. package/dist/esm/runtime/index.js.map +1 -0
  296. package/dist/esm/runtime/inputs.d.ts +91 -0
  297. package/dist/esm/runtime/inputs.d.ts.map +1 -0
  298. package/dist/esm/runtime/inputs.js +334 -0
  299. package/dist/esm/runtime/inputs.js.map +1 -0
  300. package/dist/esm/runtime/runtime.d.ts +70 -0
  301. package/dist/esm/runtime/runtime.d.ts.map +1 -0
  302. package/dist/esm/runtime/runtime.js +193 -0
  303. package/dist/esm/runtime/runtime.js.map +1 -0
  304. package/dist/esm/runtime/series.d.ts +362 -0
  305. package/dist/esm/runtime/series.d.ts.map +1 -0
  306. package/dist/esm/runtime/series.js +583 -0
  307. package/dist/esm/runtime/series.js.map +1 -0
  308. package/dist/esm/runtime/types.d.ts +282 -0
  309. package/dist/esm/runtime/types.d.ts.map +1 -0
  310. package/dist/esm/runtime/types.js +7 -0
  311. package/dist/esm/runtime/types.js.map +1 -0
  312. package/dist/esm/script/index.d.ts +987 -0
  313. package/dist/esm/script/index.d.ts.map +1 -0
  314. package/dist/esm/script/index.js +1289 -0
  315. package/dist/esm/script/index.js.map +1 -0
  316. package/dist/esm/security/resample.d.ts +63 -0
  317. package/dist/esm/security/resample.d.ts.map +1 -0
  318. package/dist/esm/security/resample.js +110 -0
  319. package/dist/esm/security/resample.js.map +1 -0
  320. package/dist/esm/session/bars.d.ts +80 -0
  321. package/dist/esm/session/bars.d.ts.map +1 -0
  322. package/dist/esm/session/bars.js +232 -0
  323. package/dist/esm/session/bars.js.map +1 -0
  324. package/dist/esm/session/calendar.d.ts +70 -0
  325. package/dist/esm/session/calendar.d.ts.map +1 -0
  326. package/dist/esm/session/calendar.js +172 -0
  327. package/dist/esm/session/calendar.js.map +1 -0
  328. package/dist/esm/str/dateformat.d.ts +15 -0
  329. package/dist/esm/str/dateformat.d.ts.map +1 -0
  330. package/dist/esm/str/dateformat.js +136 -0
  331. package/dist/esm/str/dateformat.js.map +1 -0
  332. package/dist/esm/str/index.d.ts +459 -0
  333. package/dist/esm/str/index.d.ts.map +1 -0
  334. package/dist/esm/str/index.js +540 -0
  335. package/dist/esm/str/index.js.map +1 -0
  336. package/dist/esm/str/messageformat.d.ts +14 -0
  337. package/dist/esm/str/messageformat.d.ts.map +1 -0
  338. package/dist/esm/str/messageformat.js +111 -0
  339. package/dist/esm/str/messageformat.js.map +1 -0
  340. package/dist/esm/str/numberformat.d.ts +19 -0
  341. package/dist/esm/str/numberformat.d.ts.map +1 -0
  342. package/dist/esm/str/numberformat.js +189 -0
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package/dist/esm/ta/running-sum.d.ts ADDED
@@ -0,0 +1,30 @@
1
+ /**
2
+ * Running window sum with the floating-point behaviour of PineScript `math.sum` / `ta.sma` / `ta.stdev` /
3
+ * `ta.variance` (bit for bit).
4
+ *
5
+ * PineScript does not sum the window again on each bar. It keeps a compensated (Kahan) running sum:
6
+ * - each bar first removes, with a Kahan step, the compensated value that was added for the value that leaves the
7
+ * window, then adds the new value with a Kahan step and keeps its compensated value;
8
+ * - when the compensation of the previous step would be lost when applied to the new value, the sum is computed
9
+ * again from the window values (newest first) and the compensation is reset.
10
+ *
11
+ * So the result can differ from the exact window sum in the last bits (e.g. a small residue on a window of zeros),
12
+ * as in PineScript.
13
+ *
14
+ * @internal
15
+ */
16
+ /**
17
+ * The sum of the last `length` non-na values on each bar, as PineScript computes it.
18
+ *
19
+ * @param source - Values (na: NaN, null, undefined or +/-Infinity, skipped)
20
+ * @param length - Number of non-na values in the window
21
+ * @returns The running sum per bar: NaN until `length` non-na values exist; a bar with an na value keeps the
22
+ * previous result
23
+ */
24
+ export declare function runningSum(source: ArrayLike<number | null | undefined>, length: number): number[];
25
+ /**
26
+ * Window variance from the running sums of the values and of their squares, as PineScript computes it:
27
+ * biased `sumSq / n - mean * mean`, unbiased `sumSq / (n - 1) - mean * sum / (n - 1)`, with `mean = sum / n`.
28
+ */
29
+ export declare function runningVariance(source: ArrayLike<number | null | undefined>, length: number, biased: boolean): number[];
30
+ //# sourceMappingURL=running-sum.d.ts.map
package/dist/esm/ta/running-sum.d.ts.map ADDED
@@ -0,0 +1 @@
1
+ {"version":3,"file":"running-sum.d.ts","sourceRoot":"","sources":["../../../src/ta/running-sum.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;GAcG;AA+BH;;;;;;;GAOG;AACH,wBAAgB,UAAU,CAAC,MAAM,EAAE,SAAS,CAAC,MAAM,GAAG,IAAI,GAAG,SAAS,CAAC,EAAE,MAAM,EAAE,MAAM,GAAG,MAAM,EAAE,CAwCjG;AAED;;;GAGG;AACH,wBAAgB,eAAe,CAC7B,MAAM,EAAE,SAAS,CAAC,MAAM,GAAG,IAAI,GAAG,SAAS,CAAC,EAC5C,MAAM,EAAE,MAAM,EACd,MAAM,EAAE,OAAO,GACd,MAAM,EAAE,CAaV"}
package/dist/esm/ta/running-sum.js ADDED
@@ -0,0 +1,113 @@
1
+ /**
2
+ * Running window sum with the floating-point behaviour of PineScript `math.sum` / `ta.sma` / `ta.stdev` /
3
+ * `ta.variance` (bit for bit).
4
+ *
5
+ * PineScript does not sum the window again on each bar. It keeps a compensated (Kahan) running sum:
6
+ * - each bar first removes, with a Kahan step, the compensated value that was added for the value that leaves the
7
+ * window, then adds the new value with a Kahan step and keeps its compensated value;
8
+ * - when the compensation of the previous step would be lost when applied to the new value, the sum is computed
9
+ * again from the window values (newest first) and the compensation is reset.
10
+ *
11
+ * So the result can differ from the exact window sum in the last bits (e.g. a small residue on a window of zeros),
12
+ * as in PineScript.
13
+ *
14
+ * @internal
15
+ */
16
+ const view = new DataView(new ArrayBuffer(8));
17
+ /** Binary exponent of a finite non-zero number (from its bits). */
18
+ function exponentOf(x) {
19
+ view.setFloat64(0, x);
20
+ const e = (view.getUint16(0) >> 4) & 0x7ff;
21
+ return e === 0 ? -1074 : e - 1023;
22
+ }
23
+ /**
24
+ * Whether the compensation `c` is (partly) lost when it is applied to `x`: `x - c` rounded on the grid of `x`
25
+ * (spacing of the binade of `x`, ties to an even mantissa) applies less than `c`.
26
+ */
27
+ function compensationLost(x, c) {
28
+ if (c === 0 || x === 0)
29
+ return false;
30
+ const ulp = 2 ** (exponentOf(x) - 52);
31
+ const q = c / ulp;
32
+ const mantissa = x / ulp;
33
+ const f = Math.floor(q);
34
+ const d = q - f;
35
+ const applied = d > 0.5 ? f + 1 : d < 0.5 ? f : (mantissa - f) % 2 === 0 ? f : f + 1;
36
+ return Math.abs(applied) < Math.abs(q);
37
+ }
38
+ /** A value PineScript treats as na in window functions (also +/-Infinity). */
39
+ function isNa(v) {
40
+ return v === undefined || v === null || !Number.isFinite(v);
41
+ }
42
+ /**
43
+ * The sum of the last `length` non-na values on each bar, as PineScript computes it.
44
+ *
45
+ * @param source - Values (na: NaN, null, undefined or +/-Infinity, skipped)
46
+ * @param length - Number of non-na values in the window
47
+ * @returns The running sum per bar: NaN until `length` non-na values exist; a bar with an na value keeps the
48
+ * previous result
49
+ */
50
+ export function runningSum(source, length) {
51
+ const len = Math.floor(length);
52
+ const out = new Array(source.length).fill(NaN);
53
+ if (!(len >= 1))
54
+ return out;
55
+ const values = [];
56
+ const stored = [];
57
+ let s = 0;
58
+ let c = 0;
59
+ let previous = NaN;
60
+ const kahanAdd = (v) => {
61
+ const y = v - c;
62
+ const t = s + y;
63
+ c = (t - s) - y;
64
+ s = t;
65
+ return y;
66
+ };
67
+ for (let i = 0; i < source.length; i++) {
68
+ const v = source[i];
69
+ if (isNa(v)) {
70
+ out[i] = previous;
71
+ continue;
72
+ }
73
+ const x = v;
74
+ const c0 = c;
75
+ const n = values.length;
76
+ if (n >= len)
77
+ kahanAdd(-stored[n - len]);
78
+ values.push(x);
79
+ if (compensationLost(x, c0)) {
80
+ let fresh = 0;
81
+ for (let k = values.length - 1; k >= Math.max(0, values.length - len); k--)
82
+ fresh += values[k];
83
+ s = fresh;
84
+ c = 0;
85
+ stored.push(x);
86
+ }
87
+ else {
88
+ stored.push(kahanAdd(x));
89
+ }
90
+ previous = values.length >= len ? s : NaN;
91
+ out[i] = previous;
92
+ }
93
+ return out;
94
+ }
95
+ /**
96
+ * Window variance from the running sums of the values and of their squares, as PineScript computes it:
97
+ * biased `sumSq / n - mean * mean`, unbiased `sumSq / (n - 1) - mean * sum / (n - 1)`, with `mean = sum / n`.
98
+ */
99
+ export function runningVariance(source, length, biased) {
100
+ const len = Math.floor(length);
101
+ const squares = Array.from({ length: source.length }, (_, i) => {
102
+ const v = source[i];
103
+ return isNa(v) ? NaN : v * v;
104
+ });
105
+ const sums = runningSum(source, len);
106
+ const sumSquares = runningSum(squares, len);
107
+ return sums.map((sum, i) => {
108
+ const mean = sum / len;
109
+ const sq = sumSquares[i];
110
+ return biased ? sq / len - mean * mean : sq / (len - 1) - (mean * sum) / (len - 1);
111
+ });
112
+ }
113
+ //# sourceMappingURL=running-sum.js.map
package/dist/esm/ta/running-sum.js.map ADDED
@@ -0,0 +1 @@
1
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